Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0107
Annualized Std Dev 0.1569
Annualized Sharpe (Rf=0%) -0.0682

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1429
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.2027
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness 0.4279
Kurtosis 67.8556

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0082
Loss Deviation 0.0088
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0071
Downside Deviation (0%) 0.0071
Maximum Drawdown 0.5997
Historical VaR (95%) -0.0115
Historical ES (95%) -0.0228
Modified VaR (95%) -0.0015
Modified ES (95%) -0.0015
From Trough To Depth Length To Trough Recovery
2003-06-16 2008-12-16 NA -0.5997 4473 1388 NA
1999-04-07 2000-05-17 2002-09-03 -0.2406 857 283 574
2002-10-04 2002-10-22 2003-05-21 -0.0988 158 13 145
1999-01-05 1999-01-20 1999-02-05 -0.0226 23 11 12
1999-02-08 1999-02-12 1999-04-06 -0.0189 40 5 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.8 -0.2 0.4 0 0 -0.4 0.4 0 1.4 -1.8 0 -1
2000 0.9 -0.5 -0.9 0 1.9 1.4 0.4 0.4 -0.4 0.5 1.9 0 5.7
2001 -0.3 1.8 -0.8 1.8 0 -0.2 0.6 0.3 1 2 -0.2 0.6 6.8
2002 1.5 0.4 0.7 0.4 0.4 0.1 -0.6 -0.3 0.2 -0.2 -0.1 -0.1 2.3
2003 0.2 0.8 1.3 0.5 -0.4 -0.1 -0.3 0.3 0.4 0.1 0 0.8 3.7
2004 0.3 -0.2 0.2 0.2 -0.1 0.2 0.5 0.4 -0.8 -0.4 0.1 0.1 0.7
2005 0.5 -0.3 0.7 0.3 0.9 0.1 0.1 0.7 -0.3 0.1 -0.1 0.6 3.1
2006 -0.8 -0.1 1 -0.4 1.2 -0.2 0.8 -0.1 0.5 0.6 0.1 0.1 2.6
2007 0.1 0.1 -0.1 -0.1 0 0.8 0.3 0.1 -0.1 0.5 0.3 -0.1 1.8
2008 -0.2 -1.9 1.1 -0.3 -0.1 0.6 0.2 -0.1 4.2 -2.9 -1.5 3.3 2.2
2009 -1.3 0 0.5 -0.2 0.8 -0.6 -0.8 0.2 0 -0.5 0.7 0.3 -0.9
2010 0.3 0.8 0.1 -0.1 0.3 0.5 1.5 0.2 0.4 -0.2 -1.9 1.5 3.3
2011 1 0.7 -0.6 0.3 -0.4 0.9 2.5 0 -1.2 0.5 0.7 -0.8 3.8
2012 1.7 1.2 0.6 -0.3 -0.2 0.3 -0.1 0 0.4 0.3 0.5 0.3 4.8
2013 -0.1 0 0.7 0.5 -1.7 -0.2 -0.8 -1.8 -0.2 -1.1 -0.7 -0.2 -5.4
2014 0 0.2 0.1 1.1 0 -0.2 0.2 0.2 0.5 -0.2 -0.2 0.9 2.7
2015 0.4 0.7 0.4 -0.7 0.5 -0.1 0.4 0.6 0 0.2 0.5 -0.1 2.8
2016 0.2 0.2 0.5 0.7 0.1 0.4 -0.3 0.3 0.1 0.5 -2.1 0.5 1.2
2017 0 -0.3 -0.1 0.2 0.3 0.1 0.5 0.3 -0.5 0 0.1 0.2 0.7
2018 -0.2 0.1 0.1 0.3 0.2 0 0.2 0 -0.2 -0.1 0.5 1.3 2.2
2019 0.2 -0.1 0.3 0.3 0.2 -0.5 0.3 0.2 0.2 -0.1 -0.2 0.3 1.2
2020 0.2 -1 -1.5 0.7 0.6 0.1 0.6 0.5 0.7 0.3 0.1 0.5 1.8
2021 0.2 0.8 0 NA NA NA NA NA NA NA NA NA 1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart